Honestly, two months isn't very long. If I were in your shoes I would be telling myself that the sex will just have to wait. Sex is important but it's also just sex. There are many more important things.

For me the bigger issue here is his lack of appreciation towards you. I've lost loved ones on multiple occasions throughout my life. It's really, really hard. But it's not like I was incapable of showing gratitude towards my closest loved ones. You are going above and beyond to be there for him. It may sound harsh but he needs to start acknowledging that or you're going to burn out.

You need to talk to him. You aren't being selfish by doing so. If he doesn't want to lose you as well then he needs to hear how you're feeling. He's probably so caught up in his own sadness that he isn't even realizing how hard it has been for you, too. Communication is the foundation of ALL successful relationships.

It's entirely possible that he won't be able to give you what you need right now. And that's okay. At that point you'll just need to decide if it's worth it to you to keep going. But first you need to talk to him.